activity
20172024
most citedGeneralized inverse Gaussian distributions and the time of first level crossing

5 citations · 17 across the 7 of their papers we have counts for

collaborators
Showing q-fin.RMShow all

1 paper · 1 filter

q-fin.RM2020

Value-at-Risk substitute for non-ruin capital is fallacious and redundant

Vsevolod Malinovskii

This seemed impossible to use a theoretically adequate but too sophisticated risk measure called non-ruin capital, whence its widespread (including regulatory documents) replacemen…